The error you are getting in the wizard is letting you know that you can't interact with the live db from within DW. This is probably due to a limit on remote connections by your host. It is common to not allow remote connections to the db for security.
This means that you will need to configure and test things locally, then upload your files and db to your live server. You will also need to update the local connection file to have your live db's login credentials. Have you checked on the guides for setting up the server? If you have things working locally then you should be ok to just move it all to the live server and update the db and connection file.